فصلنامه پژوهش های اقتصادی ایران
پیاپی 56 (پاییز 1392)

Over the past 4 years(over Aug 2010 to Jan 2013), while the annual return on 5 years bank deposits was 25 percent; the total index of Tehran Stock Exchange on average grew by 155 percent. If the investors are return maximizer why they did not invest in the stock market extensively? This research addresses this question by testing for the existence of equity premium puzzle in Tehran Stock Exchange. Therefore, the Total Price Index of exchange market is considered as a risky asset and the return on long-term (5 years) deposit is a proxy for risk free asset. Data is monthly and covers Aug 2010 to Jan 2013; which is converted to real term using monthly inflation rate. To test for the equity premium puzzle, we apply a non-parametric, "Stochastic Dominance" method and the Kolmogorov-Smirnov and McFadden test statistics. The results rejects the existence of equity premium puzzle for Tehran Stock Exchange and concludes risk aversion as the primary cause of small outflow from deposits to the capital market. In addition, we have compared stochastic dominance of the Industry,50 Most Active Companies, and 30 Largest Companies indices of Tehran Stock Exchange pairwisely. The results suggest that market players, according to their preferences for portfolio optimization, rank the stocks indices as follow: First the Industry Index, then the Index of 50 Most Active Companies, and finally the Index of 30 Largest companies.

Education is considered as a significant determinant of earnings inequality; however, there are sensible differences in the educational attainment for individuals. This paper examines absolute mobility between groups of educational levels and the persistency of inequality of opportunities in the economy of Iran. For this purpose, Households’ Survey Data over 1988 to 2011 are used to organize pseudo-panel data and to estimate nonlinear dynamics of population in Iran. Our results reveal that the inequality opportunity between generations with higher education is less than that of between generations with lower education.Also inequality is decreasing over time, but its speed is very low.

This study employs a dynamic stochastic general equilibrium (DSGE) model for energy demand side, in order to estimate the energy share of non-oil production and investigate the effects of energy price shocks on production and inflation. The results show that, the share of energy in production is 12.1 percent in Iran which is 8 times higher than of European countries. In addition, positive shocks of energy price have negative effects on production and also these shocks have positive effects on inflation and money supply. These results emphasize the significant role of energy in non-oil production in Iran which in turn is the relative advantages of cheapness and abundance of energy resources. Thus in the second phase of removing plan subsidy, the role of energy in production should be considered. In fact, the government must provide necessary background in order to convert the old technologies into modern and more efficient technologies, in addition to allocating the special energy subsides to production sector.

Although depreciation is a crucial factor in economic growth models, little effort has been made to estimate depreciation rates. In this study, we attempt to estimate integrated fuzzy indicators for depreciation rates in 21 comparable developing countries. In the framework of fuzzy logic, first, we combine ten related variables to obtain four depreciation indicators, namely human, social, physical, and natural capital. Then the four indicators are combined to obtain an overall depreciation rate. The results indicate that remarkable gap exists among developing countries. The overall depreciation rates are at the highest level in the CIS countries (circa 0/7) and at the lowest level in some of the developing European nations (circa 0/4). Due to lack of information, the exact estimation of a combined depreciation indicator seems impossible for Iran; nevertheless, we estimate a minimum boundary for this country, which indicates the dismal situation of capital preservation in Iran.

In the present system of capitalism, the money and interest rate have a special place in macroeconomics and play a major role in conducting monetary policies and determining economic activities level. Classical school believe that interest rate is a real phenomenon. However, Keynes argued that interest rate is a money phenomenon. Silvio Gesell reasoned that interest rate is due to the nature of currency. He proposed the free money system, in which the money without interest will also have active circulation. The nature of free money is in such a way that tax is proportional to the money duration of speculation. The objective of this study is to demonstrate the inability of monetary policy (raising inflation expectations) and in this regard, the impact of Gesell tax in escaping from the liquidity trap. Therefore, using the Mathematica software and calibrating a New-Keynesian model for Iranian economy, dynamics of the model were analyzed. The results indicate that an increase in target inflation rate will not affect escaping from liquidity trap. As a result, if the nominal interest rate on currency, on the basis of the rule (Gesell tax) is kept less than the nominal interest rate, the economy will never end up in a zero-bound equilibrium or in a liquidity trap.

This study investigates the stability of systematic risk of Tehran stock Exchange and a selected group of emerging stock markets including of Latin America, Asian South eastern and Istanbul Stock Exchange. The study uses time series specification of CAPM model (Black et al, 1972) and employs Bai and Perron (2003) structural break point test. The results show that based on Bai and Perron test, there are evidences of structural break in time series CAPM model and hence the instability in systematic risk for Brazil, Chile, Thailand, China, Malaysia and Tehran stock markets. The dynamic estimation results of systematic risk of these stock markets based on MGARCH - BEKK model indicate that, Tehran Stock Exchange has lowest level of systematic risk among other stock markets. The results show that there is significant fluctuation in dynamic trend of systematic risk of these stock markets in particular around structural break point dates. Based on the results, the BEKK model has more accurate performance than linear time series CAPM model for systematic risk forecasting proposes. These results provide useful policy guideline for investors in international risk management.

The purpose of this research is investigation of the relationship between income inequality and business cycles in Iran over the 1351 to 1389. In this study, Gini coefficient is the indicator of inequality, and business cycles were obtained by using the Hodrick- Prescott filter. Also In order to examine the effect of business cycle on inequality, autoregressive-distributed Lag (ARDL) approach was attempted. Our findings show that business cycles have negative impact on income inequality. During recession, income inequality increases and in the booms decreases. Also we find that higher minimum wages decrease income inequality, and oil incomes increase it.